matlab price2ret,Convert return series to price series for time series object

ret2tick (fts)

Convert return series to price series for time series object

ret2tick (fts) is not recommended. Use ret2tick instead.

Syntax

priceFts = ret2tick(returnFts)

priceFts = ret2tick(returnFts,'PARAM1',VALUE1,'PARAM2',VALUE2', ...)

Arguments

returnFtsFinancial time series object of returns.

'PARAM1'(Optional) StartPrice is a Numeric value

and is a scalar or 1-by-N vector of initial prices

for each asset. If StartPrice is unspecified or empty, the initial price

of all assets is 1.

'PARAM2'(Optional) StartTime is Date value for a

scalar date number or a single date character vector specifying the starting time for the

first observation. This date is applied to the price series of all assets.

Note

The first period price value of the resulting price series will not be reported if

StartTime is not specified. The resulting price series are scaled

based on the StartPrice, even if StartTime is not

supplied.

'PARAM3'(Optional) Method is a character vector indicating

the method to convert asset returns to prices. The value must be defined as

'Simple' (default) or 'Continuous'. If

Method is 'Simple',

ret2tick uses simple periodic returns. If

Method is 'Continuous', the function uses

continuously compounded returns. Case is ignored for

Method.

Description

priceFts = ret2tick(returnFts,'PARAM1',VALUE1,'PARAM2',VALUE2', ...)

generates a financial time series object of prices.

If Method is unspecified or 'Simple', the

prices are

PriceSeries(i+1) = PriceSeries(i)*[1 + ReturnSeries(i)]

If Method is 'Continuous', the prices

are

PriceSeries(i+1) = PriceSeries(i)*exp[ReturnSeries(i)]

Examples

Compute the price series from the following return series:

RetSeries = [0.10 0.12

0.05 0.04

-0.05 0.05]

Use the following dates:

Dates = {'18-Jun-2001'; '17-Sep-2001'; '18-Dec-2001'}

where

ret = fints(Dates, RetSeries)

ret =

desc: (none)

freq: Unknown (0)

'dates: (3)' 'series1: (3)' 'series2: (3)'

'18-Jun-2001' [ 0.1000] [ 0.1200]

'17-Sep-2001' [ 0.0500] [ 0.0400]

'18-Dec-2001' [ -0.0500] [ 0.0500]

PriceFtS is computed as:

PriceFts = ret2tick(ret, 'StartPrice', 100, 'StartTime', '18-Dec-2000')

PriceFts =

desc: (none)

freq: Unknown (0)

'dates: (4)' 'series1: (4)' 'series2: (4)'

'18-Dec-2000' [ 100] [ 100]

'18-Jun-2001' [ 110.0000] [ 112.0000]

'17-Sep-2001' [ 115.5000] [ 116.4800]

'18-Dec-2001' [ 109.7250] [ 122.3040]

Introduced before R2006a